Intraday Microflow Method

[aabhi06]

Today's Trades:
S T1: 2648 SAR: 2683 L: 35
L T2: 2683 SAR: 2706 P: 23
S T3: 2706 SAR: 2715 L: 9
L T4: 2715 SAR: 2785 L: 30
S T5: 2785 SAR: 2675 P: 10
L T6: 2675 SAR: 2696 P: 21
Brokerage: 4X6=24 points.
Total Loss= (74-44)+24= 54 points.

Dear debdeeps,
Total Loss pont > 74-54 + bro.24 = 44 points.
AS you are back- tested looks very intresting method. Well done ! Will try it.
Thanks.

 

[citrus]

While the strategy seems intersting on paper, in real trading, I dont believe it will survive on long run. Reasoning is simple, this strategy works best in strong trending markets where we have one way swings.

When we come to even a bit of choppy markets, this method will be reversing multiple times, In contrast, Saints Mini Flow method reverses trend only when its really changing. Though the SAR there are sometimes higher, its well acceptable since one is looking to reverse the position and for that one needs to be certain that the trend has really changed.

Instead of SAR, if this method is used for trailing stop, it might work better since just because Nifty has come down by 37 points does not have to mean that the trend has reversed in any time frame.

I am not sure how backtests are being done, but it will be necessary to consider considerable slippage that happens during reversals.

Even on strongly trending days, movement of price in reverse direction by full one Bollinger band width put the trend in serious doubt. On normal days even crossing of mid point of Bollinger Band can cause trend reversal. However, for plotting Bollinger bands we need number of periods and number of standard deviations. I think the concept of debdeeps is good but needs further refining.
Regards.

 

[HEM]

Today's Trades:
S T1: 2648 SAR: 2683 L: 35
L T2: 2683 SAR: 2706 P: 23
S T3: 2706 SAR: 2715 L: 9
L T4: 2715 SAR: 2785 L: 30
S T5: 2785 SAR: 2675 P: 10
L T6: 2675 SAR: 2696 P: 21
Brokerage: 4X6=24 points.
Total Loss= (74-44)+24= 54 points.

dear debdeeps,
i didn't understand. please explain it properly step by step with your method and please mention what time frame you are useing ?

 

[debdeeps]

Deb,

Have a relook at these calculation once again ,and post ACCURATE values.

Corrected now...Pls recheck and help us to improve the method.

 

[debdeeps]

Note: As a habit I ignore First one minute bar (too vague bar), and for finding range take highest high and lowest low of 2 to 6 minute bars. Thus first trade was not triggered in my case.
Regards.

Dear citrus,
Thanks a lot for your advice. Will definitely think about it and will do the backtest again this weekend.

By the way if anybody can do the backtest for any month considering this suggestion would be excellent. We require volunteers for extensive backtesting of this method.

 

[aabhi06]

Back Testing Result of Aug---2008.

Date Profit / Loss.
01/Aug +129
02/Aug -23
05/Aug +62
06/Aug +55
07/Aug -87
08/Aug -42
11/Aug -20
12/Aug -40
13/Aug +21
14/Aug -5
18/Aug -58
19/Aug +20
20/Aug -19
21/Aug +93
22/Aug -30
25/Aug +33
26/Aug -54
27/Aug +39
28/Aug +64
29/Aug +60

Total profit =194/lot exclud brokerage.

Above trade more than 50% SAR hit by 1 or 2 points.So observation > if 37+3=40 points SAR will be better.

Abhishek.

 

[rkkarnani]

Back Testing Result of Aug---2008.

Date Profit / Loss.
01/Aug +129
02/Aug -23
05/Aug +62
06/Aug +55
07/Aug -87
08/Aug -42
11/Aug -20
12/Aug -40
13/Aug +21
14/Aug -5
18/Aug -58
19/Aug +20
20/Aug -19
21/Aug +93
22/Aug -30
25/Aug +33
26/Aug -54
27/Aug +39
28/Aug +64
29/Aug +60

Total profit =194/lot exclud brokerage.

Above trade more than 50% SAR hit by 1 or 2 points.So observation > if 37+3=40 points SAR will be better.

Abhishek.

Hi, Can you post total numer of Trades corresponding to each day. This just to estimate slippage and brokerage.

 

[aabhi06]

Total trade 47 , but as above mentioned more than 50% SAR hit
by 1/2 points, otherwise full month trading profit point may be 450 +

 

[praveen taneja]

still then its not a better trail well done great job keep it up

 

[rkkarnani]

Total trade 47 , but as above mentioned above 50% SAR hit
by 1/2 points, otherwise full month trading profit point may be 450 +

Aabhi, If we take 40 point as filter, i.e 3 points extra while entering and 3 points extra while reversing, and no change while exiting.
Total days : 20, i.e Exit on 20 occassions.
Total trades : 47
47 buys and 47 sells = 94 in total.
Now we take 3 points filter extra in 94-20=74 trades=222 points. But as you say this happens in 50% cases, so the trades may go down a lot, let us say 50% So if we reduce 50% of this figure from the profit estimated by you if we take 40 points filter:
Profit 450-111=339, You already have a profit of 195. We have an increase of 144 points. A reasonable difference overall .
Filter we use is a recurring cost and amounts to large value when we consider the over all impact. Best is to reanalyse it with 40 points.

We have not taken into account the slippage, even if it is on an average 2 points per trade, we expect to loose 74X2=148, we also reduce the brokerage. Overall the August scenario is not encouraging.

Seems we need something more..... but again a bad month does not make a method 'bad'.
Please do not be discouraged, wrote it to highlight the importance of 'optimisation' of the filter value.